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The Bat...a strategy by Team Aphid

  • #381
  • Feb 5, 2007 7:23am Feb 5, 2007 7:23am
Quoting TeamAphid
Hi Laoma,

Your short levels are correct, but how did you find TPs since there is no TP in original BAT system (for #1 trades). We use red BAT line to take profit for short trades.
The TP that I mean is the 161,8 level (here I trade a little bit free of rules, I TP as I fill abuot the trade and watching others time frame signals)
  • #382
  • Feb 5, 2007 8:22am Feb 5, 2007 8:22am
Quoting TeamAphid
No, we haven't considered that kind of filter, but we will test it for a couple of months and see if it filters profitable trades as well, especially big ones. By the way, do you mean Alpari server time or EST or else?
TA, I just based this on the results that you posted for 2006, using an excel pivot table to summarise trades by left hand hour column. Many of the overnight hours have a negative result. (e.g. 23h 4 trades -121pips, 0h 4 trades -61pips. Total 11pm-6am 26 trades, average only +5 pips compared with an average of +12 pips for all trades)
  • #383
  • Feb 6, 2007 7:03am Feb 6, 2007 7:03am
Hi TA:

Can you clarify how you compensate for spread when placing orders off the bat lines. For example, right now on EURAUD, my red bat line is at 6715, the Alpari feed has a ask/bid of 6691/6676 and my ecn is showing 6687/6691. Where would you place the order for the buy at the Alpari 6715? If the red bat line is charting the bid, then would the formula be RED BAT LINE + ALPARI SPREAD - 4
Michael fxgorilla
  • #384
  • Feb 6, 2007 3:02pm Feb 6, 2007 3:02pm
TEAM APHID

Set a buy stop at 9615 cable Monday night before retiring, based on the projected red-bat line break. Although the actual bat-line changed overnight by 15 pips, I still awakened today, Tuesday morning, to find a pleasant profit based on where I thought the 161 would wind-up (it too changed).

Is it correct that most of the movements occur during the European and UK session, while we yanks are sound asleep, enjoying pipdreams??
  • #385
  • Feb 6, 2007 6:25pm Feb 6, 2007 6:25pm
Spread issue is always a problem since different brokers offer different spreads, naturally. And it is especially a big problem with EURAUD because Alpari spread is 15 pips for this currency. You can use your formula, or another oprtion we can offer is (in case you can follow prices when trigger levels are approaching) that you can wait for Alpari to hit red or blue BAT line (for BUY orders only) and then instantly execute a market order from your ecn. This will save you some pips. If you need to put limit orders and go away, and then the only option is to add 15 pips to the trade level (for BUY orders only) since Alpari is charting the bid price.



Quoting fxgorilla
Hi TA:

Can you clarify how you compensate for spread when placing orders off the bat lines. For example, right now on EURAUD, my red bat line is at 6715, the Alpari feed has a ask/bid of 6691/6676 and my ecn is showing 6687/6691. Where would you place the order for the buy at the Alpari 6715? If the red bat line is charting the bid, then would the formula be RED BAT LINE + ALPARI SPREAD - 4
  • #386
  • Feb 6, 2007 6:30pm Feb 6, 2007 6:30pm
Most of the movements in FX market occur during London and US sessions. But we are trading this method 100% mechanical and taking every trade triggered by BAT indicator.

Statiscally, it may be true that losers are more in Sydney and Tokyo sessions as indicated before by a member, but we are not using any time filter to trade this system at the moment.



Quoting MoneyMa$ter
TEAM APHID

Set a buy stop at 9615 cable Monday night before retiring, based on the projected red-bat line break. Although the actual bat-line changed overnight by 15 pips, I still awakened today, Tuesday morning, to find a pleasant profit based on where I thought the 161 would wind-up (it too changed).

Is it correct that most of the movements occur during the European and UK session, while we yanks are sound asleep, enjoying pipdreams??
  • #387
  • Feb 7, 2007 3:33am Feb 7, 2007 3:33am
Hi Team Aphid, thanks for the mechanical Bat system of yours. I have some ideas/input which I would like to share. I believe it can improve the net result ie more pips in the pocket and maybe less stress. I have read in the thread that there are a number of traders who get a heart attack when faced with some of the large losses. I am playing around with the following idea:
A) you construct your swing as per your rules. Add the following fib extensions 127%, 200% 261%
B) in the BAT indicator change the factor from 4,0 to 3,5
C) Make the 61% retracement level your stop loss
D) Enter 5 positions. This equates on average to about 2% of capital risk.
E) Take profit at the following levels

2 positions at the 127%
1 position at 168%
1 position at 200%
1 position at 261%. this position can be let open and eventually to be stopped out , when triggered by the next BAT line to change course.

I am busy doing some backtesting and I am still busy with April 2006. It does seem to me that the above method does offer good Risk/reward ratios. Furthermore your losses are contained. Most of the times the price will make a spike and then retrace. By changing the factor down to 3,5 a small profit at the 127% level can be taken. Furthermore the number of trades are not increased significantly.

The above is just an idea . Positive criticism is surely appreciated.

I have included a sketch showing the 2 fib extensions.
The BAT blue/red is he original , while the BAT light blue/ orange is the modified factor

Regards Eckbert
Attached Image
  • #388
  • Feb 7, 2007 8:49am Feb 7, 2007 8:49am
Eckbert,
I have manually backtested a similar approach:
enter with 3 units at break of BAT, take first profit at 168%, then stoploss gets moved from swing low to the 127%, take second profit at 227%, last unit until it gets stopped out by BAT line or the 127% trailed stop.
I didn't enter any position at the 38.2% and 61.8% fibs.
I get a higher result with less draw down, like you describe with your tests. (I only backtested this approach for January 2006 to August 2006)
One weakness is the trailed 127% trailed stop though, often price will retrace beyond this level before taking off again, so I think the next test will be without this trailed stop or a modified one.
  • #389
  • Feb 7, 2007 12:18pm Feb 7, 2007 12:18pm
Hi Islander, yes I agree with your trailing stop. Backtesting is off course the ideal world. In real live your emotions etc come to the fore. That is why in my backtesting I only took profit on the values physically hit. In other words, if the price hit the 1,618 ext and then retraced to hit the 0,618 stop loss so be it. To me this is the worst case scenario. I tried to implement a system where I must not make a rational decision, which will in any case be not right.

This is what I like about the BAT system. There are no indicators etc. There is a level which will trigger a trade. In advance you can enter all the different levels and basically go and play golf or if you stay in Hawaii go and surf.

In my back testing I did not change my stop once I reached a certain level. This can improve your profitability, but quite right as you say, it will hit your trailing stop and then continue. Remember you must leave room for the market to breath and stretch its muscles. A tight stop will kill you, and the brokers know this. If I can bag a profit at the 1,27 ext great. This position has greatly reduced my risk, especially in a ranging market. This is where you want to cut your losses.

Regards Eckbert.

PS, it seems that using the 1,382 ext is actually better than the 1,27 ext.
  • #390
  • Feb 7, 2007 12:31pm Feb 7, 2007 12:31pm
Hi TA:

First, I just want to take a breather and say thank you for sharing the Bat with all of us here on FF.

Just for clarification, when you say that it is possible to open with 2 lots, this must mean that you are also willing to increase your total risk per trade by 25%? Otherwise, allocating the same 2% (or whatever %R per trade you are using) across either 4 or 5 lots would not result in any net difference, as you would simply be decreasing the lot size.

Also, with regards to money management and risk allocation per lot, would it make sense to weight the risk allocation per lot based upon the historical average win ratio of each lot? For example, in 2006, about 60% of all the pips were generated from Lot #1, therefore, if you're total risk per trade is 2%, would it make sense to allocate 1.2% to Lot #1, and then to distribute the .8% over the remaining lots, perhaps also on a weighted basis?

All the best,

Michael
Michael fxgorilla
  • #391
  • Feb 7, 2007 1:15pm Feb 7, 2007 1:15pm
One other question, must you wait for the Bat line to turn horizontal before moving your stop from swing-10? For example, on the chart below, where would your stop be for the currenct EURAUD long?
Attached Image
Michael fxgorilla
  • #392
  • Feb 7, 2007 6:37pm Feb 7, 2007 6:37pm
Thanks for sharing your ideas, they are well explained and 100% mechanical which is suitable to the nature of BAT system. We liked your strategy and we have decided to test them properly.

Just a couple of issues; instead of using 127% extension, we are going to use 138%.

And we have a concern in regard to TP levels. If the swing low/high is too close to BAT lines, then you will be exiting too early @138% level (40% of the trade). Just check out GBPUSD chart and go to January 3rd, 2006 02.00hr bar. Swing low is at 01.00 hr bar and too close. We agree you'll not lose already gained pips with these TP levels, but on th other hand, you'll lose many potential pips if swing low/high is too close such as the one in above example. Anyway, it is a tradeoff, and we never know without proper testing.

We'll inform you about the outcome of our tests.

Thanks for your contributions.





Quoting Eckbert
Hi Team Aphid, thanks for the mechanical Bat system of yours. I have some ideas/input which I would like to share. I believe it can improve the net result ie more pips in the pocket and maybe less stress. I have read in the thread that there are a number of traders who get a heart attack when faced with some of the large losses. I am playing around with the following idea:
A) you construct your swing as per your rules. Add the following fib extensions 127%, 200% 261%
B) in the BAT indicator change the factor from 4,0 to 3,5
C) Make the 61% retracement level your stop loss
D) Enter 5 positions. This equates on average to about 2% of capital risk.

E) Take profit at the following levels

2 positions at the 127%


1 position at 168%


1 position at 200%


1 position at 261%. this position can be let open and eventually to be stopped out , when triggered by the next BAT line to change course.


I am busy doing some backtesting and I am still busy with April 2006. It does seem to me that the above method does offer good Risk/reward ratios. Furthermore your losses are contained. Most of the times the price will make a spike and then retrace. By changing the factor down to 3,5 a small profit at the 127% level can be taken. Furthermore the number of trades are not increased significantly.

The above is just an idea . Positive criticism is surely appreciated.

I have included a sketch showing the 2 fib extensions.
The BAT blue/red is he original , while the BAT light blue/ orange is the modified factor

Regards Eckbert
  • #393
  • Feb 7, 2007 7:02pm Feb 7, 2007 7:02pm
You are right, but as you indicated on your second paragraph, 60% of all pips were generated by Trade #1, therefore we consider that this result is worth of increasing the risk.

Re. your second question, yes it makes sense to allocate risk per lot. But, generally speaking, we are looking at the bigger picture with respect to our account balance, not trade by trade. We know that many systems use drawdown, risk/reward ratios, winning ratio and all other statistical figures based on single trade results. We prefer using monthly figures, because we believe a mechanical system generating consistent monthly profit is worth to trade depending on other monthly statistics.

Thanks for your contributions.




Quoting fxgorilla
Hi TA:

First, I just want to take a breather and say thank you for sharing the Bat with all of us here on FF.

Just for clarification, when you say that it is possible to open with 2 lots, this must mean that you are also willing to increase your total risk per trade by 25%? Otherwise, allocating the same 2% (or whatever %R per trade you are using) across either 4 or 5 lots would not result in any net difference, as you would simply be decreasing the lot size.

Also, with regards to money management and risk allocation per lot, would it make sense to weight the risk allocation per lot based upon the historical average win ratio of each lot? For example, in 2006, about 60% of all the pips were generated from Lot #1, therefore, if you're total risk per trade is 2%, would it make sense to allocate 1.2% to Lot #1, and then to distribute the .8% over the remaining lots, perhaps also on a weighted basis?

All the best,

Michael
  • #394
  • Feb 7, 2007 7:07pm Feb 7, 2007 7:07pm
You shouldn't wait for the BAT line to turn horizantal to trail the SL. After the BAT line appears, just check out the value of BAT line for the bar previous to the current bar (because the value of BAT line changes on cuurent bar, but it is fixed at previous bar). Therefore if current bar is, let's say 15.00hr bar, look at the 14:00hr bar for SL level.



Quoting fxgorilla
One other question, must you wait for the Bat line to turn horizontal before moving your stop from swing-10? For example, on the chart below, where would your stop be for the currenct EURAUD long?
  • #395
  • Feb 7, 2007 10:15pm Feb 7, 2007 10:15pm
Hi Team Aphid, The longer I am carryung out my backtests, it seems that the 138%Ext is the way to go. I ahve started with 127%, but I am entering the 138% levels in Excel spreadsheet. So once I am finished I can just cahnge the values.

Regarding the swing low/highs to close to the BAT line, yes it does happen. However you can always reenter after a conslidation. But as you say, you win some and you lose some. I am looking for a strategy that provides me a good return and with my risk in check. Unfortunately I am a conservative gambler http://www.forexfactory.com/images/icons/icon10.gif

Regards Eckbert
Quoting TeamAphid
Thanks for sharing your ideas, they are well explained and 100% mechanical which is suitable to the nature of BAT system. We liked your strategy and we have decided to test them properly.

Just a couple of issues; instead of using 127% extension, we are going to use 138%.

And we have a concern in regard to TP levels. If the swing low/high is too close to BAT lines, then you will be exiting too early @138% level (40% of the trade). Just check out GBPUSD chart and go to January 3rd, 2006 02.00hr bar. Swing low is at 01.00 hr bar and too close. We agree you'll not lose already gained pips with these TP levels, but on th other hand, you'll lose many potential pips if swing low/high is too close such as the one in above example. Anyway, it is a tradeoff, and we never know without proper testing.

We'll inform you about the outcome of our tests.

Thanks for your contributions.
  • #396
  • Feb 8, 2007 1:07am Feb 8, 2007 1:07am
We have finished testing GBPUSD for the first three months of 2006 by using Eckbert's following rules except taking the first profit at 138% instead of 127% (we used 5 lots strategy for all options).

Original BAT rules Eckbert's rules Eckbert's rules with different exits
(with factor 4) (with factor 3.50) 1 @ 138%, 1@ 200%, 1 @ 261%
2 @ next BAT line


Jan 367 199 432
Feb 562 -336 -453
Mar 1157 657 1517

Total 2086 520 1496

When doing the backtest, following issues were observed:

1- New rules do not trade ranging market conditions (works only in trending markets with small retracement after entry) whereas original BAT rules benefit from both ranging and trending markets.

2- 61.8% retracement level for SL is too close, especially for volatile pairs, therefore it adversely affects win/loss ratio of the system.

3- As it was indicated before, 60% of profits are generated from Trade #1, therefore exit levels are too close, as well (difference between total pips proves this).

4- We still believe factor 4 is more appropriate.

Thanks again for your ideas and contributions.





Quoting Eckbert
Hi Team Aphid, thanks for the mechanical Bat system of yours. I have some ideas/input which I would like to share. I believe it can improve the net result ie more pips in the pocket and maybe less stress. I have read in the thread that there are a number of traders who get a heart attack when faced with some of the large losses. I am playing around with the following idea:
A) you construct your swing as per your rules. Add the following fib extensions 127%, 200% 261%
B) in the BAT indicator change the factor from 4,0 to 3,5
C) Make the 61% retracement level your stop loss
D) Enter 5 positions. This equates on average to about 2% of capital risk.

E) Take profit at the following levels

2 positions at the 127%


1 position at 168%


1 position at 200%


1 position at 261%. this position can be let open and eventually to be stopped out , when triggered by the next BAT line to change course.


I am busy doing some backtesting and I am still busy with April 2006. It does seem to me that the above method does offer good Risk/reward ratios. Furthermore your losses are contained. Most of the times the price will make a spike and then retrace. By changing the factor down to 3,5 a small profit at the 127% level can be taken. Furthermore the number of trades are not increased significantly.

The above is just an idea . Positive criticism is surely appreciated.

I have included a sketch showing the 2 fib extensions.
The BAT blue/red is he original , while the BAT light blue/ orange is the modified factor

Regards Eckbert
  • #397
  • Feb 8, 2007 1:45am Feb 8, 2007 1:45am
Hi Team Aphid, thanks for your response.

A question: how do you define a range trading market?

In your analysis, the first figure (367) is the original BAT, (199) Eckbert's rule and (432) Eckbert's rules with revised exits? Is it possible to post your results.

If you say that a 61% retracement as stop loss is to close, what would you consider a reasonable stop loss?

Regards Eckbert



Quoting TeamAphid
We have finished testing GBPUSD for the first three months of 2006 by using Eckbert's following rules except taking the first profit at 138% instead of 127% (we used 5 lots strategy for all options).

Original BAT rules Eckbert's rules Eckbert's rules with different exits
(with factor 4) (with factor 3.50) 1 @ 138%, 1@ 200%, 1 @ 261%
2 @ next BAT line


Jan 367 199 432
Feb 562 -336 -453
Mar 1157 657 1517

Total 2086 520 1496

When doing the backtest, following issues were observed:

1- New rules do not trade ranging market conditions (works only in trending markets with small retracement after entry) whereas original BAT rules benefit from both ranging and trending markets.

2- 61.8% retracement level for SL is too close, especially for volatile pairs, therefore it adversely affects win/loss ratio of the system.

3- As it was indicated before, 60% of profits are generated from Trade #1, therefore exit levels are too close, as well (difference between total pips proves this).

4- We still believe factor 4 is more appropriate.

Thanks again for your ideas and contributions.
  • #398
  • Feb 8, 2007 2:25am Feb 8, 2007 2:25am
Hi Team Aphid, I have studies BAT document again. In a range trade you show the aqua arrows as a reentry. Where is your exit. As requested in the previuos post, please give me a definition on a range trade. A thought not yet tried out, would the BAT lines on a 4hr chart provide a clue for a range?

Your backtest results posted in the previous post : is it possible to define the entry and exit levels, or are they the same as per the original BAT document on post 35.
Regards Eckbert
  • #399
  • Feb 8, 2007 3:18am Feb 8, 2007 3:18am
Please see the answers within your text.


Quoting Eckbert
Hi Team Aphid, thanks for your response.

A question: how do you define a range trading market? Please read "BAT Range Trade" section (page 8) of original BAT document at post #35.


In your analysis, the first figure (367) is the original BAT, (199) Eckbert's rule and (432) Eckbert's rules with revised exits? Yes, that is correct. Is it possible to post your results. No, because it is in sketch form and we did not enter entry and exit dates on spreadsheet to finish the testing quickly, but we did a detailed, proper backtest for those three months and the results are correct.

If you say that a 61% retracement as stop loss is to close, what would you consider a reasonable stop loss? We still believe swing low/high -10/+10 is reasonable especially for volatile pairs. If you use 61.8 level as a stop loss, you are completely getting rid of range trading leg of the system which generates 40% of all profit.

The problem of BAT system, in our opinion, is that we are leaving too many hard earned pips on the table. This can only be improved by applying different exit strategies. Otherwise, we are happy with winning ratio or stoploss levels. But this does not mean we are not open to new ideas regarding all these issues. Whenever a sound, well explained strategy recommendation is made such as the one yourself did, we are taking it seriously and immediately backtest it to see the weaknesses and strenghts of recommendations.

Regards Eckbert
  • #400
  • Feb 8, 2007 3:32am Feb 8, 2007 3:32am
Exit for range trade entries is the 100% level (entry level for trade #1).

If the price swings between 38.2% and 161.8% levels, we accept it as a range trade (please see page 8 of original BAT document).

We have backtested by using your rules. Therefore, entry level is the BAT line. Exit levels are 2 @ 138%, 1 @ 161.8%, 1 @ 200%, 1 @ 261.8%.

Exit levels for revised method are 1 @ 138%, 1 @ 200%, 1 @ 261.8% and 2 @ opposite BAT line.

To make comparison, we have also included original BAT backtest results (5 lot version), and it still has a better winning ratio and more pips.



Quoting Eckbert
Hi Team Aphid, I have studies BAT document again. In a range trade you show the aqua arrows as a reentry. Where is your exit. As requested in the previuos post, please give me a definition on a range trade. A thought not yet tried out, would the BAT lines on a 4hr chart provide a clue for a range?

Your backtest results posted in the previous post : is it possible to define the entry and exit levels, or are they the same as per the original BAT document on post 35.
Regards Eckbert
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